CAPM Over the Long-Run: 1926-2001

By Andrew Ang, Joseph Chen. 2003

500 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/35c66fba1e62fa96399455059729df9b059e8757

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. Xiaoji Lin
2. Turan G. Bali
3. Lu Zhang
4. Li Cai
5. Pietro Veronesi
6. Jinhua Cui
7. Tano Santos
8. Andrew Ang

In Economics and Econometrics

1. Tim Bollerslev
2. Turan G. Bali
3. Andrew J. Patton
4. Torben G. Andersen
5. Francis X. Diebold
6. Lu Zhang
7. V. Todorov
8. Kevin Sheppard

In Finance

1. Turan G. Bali
2. Tim Bollerslev
3. Andrew J. Patton
4. Torben G. Andersen
5. Lu Zhang
6. Xiaoji Lin
7. V. Todorov
8. Francis X. Diebold

Citations in the corpus

• Asymmetric CAPM dependence for large dimensions: the Canonical Vine Autoregressive Model (2009, unknown): “There has been evidence that the factor loading β i varies over time, see amongst others Ang & Chen (2007) and more recently Kristensen & Ang (2009).”
• How to Discount Cashflows with Time-Varying Expected Returns (2004, methodology): “The upward trend in the growth beta and downward trend in the value beta post-1965 have been emphasized by, among others, Adrian and Franzoni (2002), Ang and Chen (2002), Campbell and Vuolteenaho (2002), and Franzoni (2002).”
• Learning about Beta: Time-Varying Factor Loadings, Expected Returns, and the Conditional CAPM (2009, unknown): “Our specification in Equation (2) also nests the models of time-varying betas proposed by Chan and Chen (1991), Ang and Chen (2004), and Jostova and Philipov (2004) who assume autoregressive processes for βit+1, but do not have conditioning variables (φi′ = 0), and - most importantly - assume that t”
• Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts (2010, unknown): “If we de…ne i E h r ( i) t r (1) t i E h r ( i 1) t r (1) t i , then this prediction can be re-written as”
• Bayesian Analysis of Stochastic Betas (2005, unknown): “According to Berk, Green, and Naik (1999), beta persistence accounts for the momentum in returns, while Ang and Chen (2003) show that it also generates the BM effect in the cross section of stock returns. Imposing mean reversion in the beta process is important from both a theoretical and empirical ”
• Comparing Asset Pricing Models (2017, background): “In related evidence, Fama and French (2006) and Ang and Chen (2007) find that CAPM works well for B/M-sorted portfolios before 1963.”
• The Book-to-Price Effect in Stock Returns: Accounting for Leverage (2007, unknown): “Ang and Chen (2004) find that the B/P effect is not evident prior to 1960, but beta does explain returns.”
• The Value Premium and the CAPM (2006, background): “Ang and Chen (2005) model variation in the market βs of value premiums as slowly mean reverting first order autoregressions (AR1s) in a highly parameterized latent variable model that also includes assumptions about how the expected value of the excess market return and its volatility vary through…”
• The Investment Manifesto (2013, methodology): “However, the CAPM alpha for the high-minus-low decile is insignificant, 0.25% (t = 1.20), and its market beta is 0.45, which is more than three standard errors from zero (e.g., Ang and Chen (2007)).”
• CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence (2009, unknown): “(2003), Ang and Chen (2007), and Gulen, Xing, and Zhang (2011).”